Ornstein-Uhlenbeck Process
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High Quality Content by WIKIPEDIA articles! In mathematics, the Ornstein?Uhlenbeck process (named after Leonard Ornstein and George Eugene Uhlenbeck), also known as the mean-reverting process, is a stochastic process rt given by the following stochastic differential equation: drt = theta (mu-rt),dt + sigma, dW_t,, where ? 0, ? and ? 0 are parameters and Wt denotes the Wiener process. The Ornstein?Uhlenbeck process is one of several approaches used to model (with modifications) interest rates, currency exchange rates, and commodity prices stochastically. The parameter ? represents the equilibrium or mean value supported by fundamentals; ? the degree of volatility around it caused by shocks, and ? the rate by which these shocks dissipate and the variable reverts towards the mean.
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GarantieWeitere Informationen
- Allgemeine Informationen
- GTIN 09786130501402
- Editor Lambert M. Surhone, Miriam T. Timpledon, Susan F. Marseken
- Genre Mathematik
- EAN 9786130501402
- Format Fachbuch
- Titel Ornstein-Uhlenbeck Process
- Herausgeber Betascript Publishing
- Anzahl Seiten 68
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